Module Handbook

  • Dynamischer Default-Fachbereich geändert auf MAT

Course MAT-64-15-K-7

High-Dimensional Integration (2V+1U, 4.5 LP)

Course Type

SWS Type Course Form CP (Effort) Presence-Time / Self-Study
- K Lecture with exercise classes (V/U) 4.5 CP 93 h
2 V Lecture 28 h
1 U Exercise class (in small groups) 14 h
(2V+1U) 4.5 CP 42 h 93 h

Basedata

SWS 2V+1U
CP, Effort 4.5 CP = 135 h
Position of the semester 1 Sem. irreg.
Level [7] Master (Advanced)
Language [EN] English
Lecturers
+ further Lecturers of the department Mathematics
Area of study [MAT-SPAS] Analysis and Stochastics
Livecycle-State [NORM] Active

Contents

Algorithms and Complexity of high and infinite-dimensional integration problems:
  • Monte Carlo Method,
  • discrepancy of point sequences and quasi Monte Carlo Method,
  • randomisation,
  • lower error bound and complexity of continuous problems,
  • curse of dimension,
  • quadrature problems for stochastic differential equations.

Literature

  • E. Novak, H. Wozniakowski: Tractability of Multivariate Problems, Vol. I-III.

Materials

Further literature will be announced in the lecture.

Requirements for attendance (informal)

Knowledge on stochastic differential equations is useful, but not necessarily required.

Modules:

Requirements for attendance (formal)

None

References to Course [MAT-64-15-K-7]

Module Name Context
[MAT-64-15-M-7] High-Dimensional Integration P: Obligatory 2V+1U, 4.5 LP